##
#  File:
#    fcgiwrap
#  Description:
#    The fcgiwrap tool allows a user to quickly and painlessly setup a socket
#    to handle CGI requests. This is useful for Python, Perl, etc.
##

The easy way:
apt-get install fcgiwrap

The less-easy way:
If your distribution does not provide it, the Nginx wiki describes the steps.
http://wiki.nginx.org/Fcgiwrap